AREC-ECON 535 - Applied Econometrics - Material
Class Cancelled Days
Historically, during the Fall Semester I have a predictable set of meeting where I deliver market outlook to extension audiences. This year some of the meetings will be virtual and might be through the afternoons. If the meeting is during class time then I will cancel the class meeting and record a make-up video.
October 11-14 (T&W&Th) Alamosa & Rocky Ford & Akron, CO @ Ag Lender Meeting 2 cancelled classes
October ? (?) Denver, CO @ Industry Outlook Conference virtual so no class impact
October ? (?) Denver, CO @ Colorado Department of Agriculture Outlook Committee Meeting virtual so no class impact
November ? (?) Rocky Ford, CO @ Arkansas Valley Land & Water Symposium potential cancelled class
November 16 (T) Akron, CO @ Colorado Crop Insurance Meeting potential cancelled class
When you send me an email please make sure the subject line leads with AREC 535:... or ECON 535 or AREC-ECON 535 and provides a topic.
Syllabus and Survey
AREC-ECON 535 Syllabus - 8/24
Overheads and Class Materials
AREC-ECON 535 Lec A - 8/24
AREC-ECON 535 Lec B 8/26
Graphic - Example Regression
Graphic - Example Nonlinear
AREC-ECON 535 Lec C 9/2
Example OLS Matrix
Example Slutsky Restriction
AREC-ECON 535 Lec D 9/14
Lee Lemieux (JEL 2010).pdf (Regression Discontinuity. Read the document enough to understand the concepts illustrated in Figures 1 & 2.)
(I was always a bit frightened when the instructor assigned a JEL article. Many can take weeks to get through. Dont invest that long unless its for your thesis/dissertation.)
Imbens-Wooldrige Lecture & Lechner Article (Diff-in-diff.)
Regression discontinuity and Difference-in-Differences are common specifications with the objective of establishing causality.
AREC-ECON 535 Lec E 9/16
Example Experimental Design
Tibshirani (JRSS-B 1996).pdf & Tibshirani (JRSS-B 2011).pdf are a couple of papers on LASSO.
Exam 1 will encompass the preceding material.
AREC-ECON 535 Lec F1 10/5
AREC-ECON 535 Lec F2 10/7
AREC-ECON 535 Lec G 10/21
Example - AR Model
Example - DL Model
Supply & Demand Elasticities are important Equilibrium Displacement Examples
AREC-ECON 535 Lec H 10/28 Previous Guest Lecture Material
Example Panel Model
Example Random Effects Errors
AREC-ECON 535 Lec I 11/3
Example Logit & Probit Models
MacDonald & Moffitt, Lin & Schmidt
Exam 2 will encompass the preceding material.
AREC-ECON 535 Lec S 11/16
Example - Dynamic Systems
AREC-ECON 535 Lec T 11/18 Extra Material (Not on Final Exam)
Example Stationary & Nonstationary Data
Example Time Series Data
Paper The Chicken or The Egg?
Paper - Cash & Futures Efficiency - Example of vector autoregression & co-integration
AREC-ECON 535 Lec Z -
Problem Set Material
AREC-ECON 535 Problem Set 1 9/7 - due 9/15
AREC-ECON 535 Problem Set 1 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 1 Key 9/21
Problem Set 1 SAS Output (The output is only if you want to see the Influential Data statistics.)
AREC-ECON 535 Problem Set 2 9/17 - due 10/1
AREC-ECON 535 Problem Set 2 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 2 Key 10/5
Problem Set 2 SAS Output (The output is only if you want to see the Collinearity Diagnostics.)
AREC-ECON 535 Problem Set 3a 10/5 - Part A due 10/19
AREC-ECON 535 Problem Set 3b 10/19 - Part B due 10/26
AREC-ECON 535 Problem Set 3 Part B Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 3 Key 10/28
AREC-ECON 535 Problem Set 4 11/4 - due 11/12
AREC-ECON 535 Problem Set 4 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 4 Key 11/23
PS 4 Vote Calculations Spreadsheet
PS 4 SAS Output - (The output is for you to see contingency tables and informative graphs.)
AREC-ECON 535 Problem Set 5 11/18 - due 12/3
AREC-ECON 535 Problem Set 5 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 5 Key 12/7
PS 5 SAS Output - (The output is for you to see simultaneity test.)
AREC-ECON 535 Assignment 1 8/31 due 9/10
Assignment 1 Data.xlsx (Right Click & Save Link As...)
AREC-ECON 535 Assignment 1 Key 9/16
AREC-ECON 535 Assignment 2 9/15 due 9/24
AREC-ECON 535 Assignment 2 Key 9/30
AREC-ECON 535 Assignment 3 11/2 - due 11/10
AREC-ECON 535 Assignment 3 Key 11/16
AREC-ECON 535 Assignment 4 11/18 optional- due 12/10
Chickens & Eggs.txt (Right Click & Save Link As...)
E-Views and Software Materials
Getting started with R -- Please notice and thank the author...
Getting your data into E-Views -- Please notice and do not bother the author...
STATA has a multitude of links to reference & support material. There is also an abundance of YouTube videos...
AREC-ECON 535 Previous Exam 1s 10/15
AREC-ECON 535 Previous Exam 2s 11/18
Apparently some folks academics took issue with the paper immediately below. I still think it is an interesting data application. But here is an offered alternative. SSRN-id3722299.pdf
I think this is worth a read not with a highlighter but certainly worth reading. Dave Friedson McNichols Sabia - 2020-09 - AZI DP 13670.pdf Interesting data cell phone pings. And a study of folks that went to Sturgis in 2020 during a world-wide pandemic and then back home. Please notice Larimer and Weld Counties on the map. The economic benefit of the motorcycle rally was local but the costs were far wider those benefiting from the event did not pay the full cost. In economics that has a name and perhaps you should know it sufficiently well that you can discuss it with someone you might encounter...
Most of what Efron writes are difficult reads. This one is not the case. My assessment is that econometrics and statistics the material of this course -- remains useful even in the world of big data and data science. This article has several discussants, and youll have access to them through the library website if you are interested.
Interesting. And correct. But this is also partly why people dont like statistics or statisticians. Moving to a World Beyond p 0.05.pdf I still think p-values are very useful and communicate both efficiently and effectively. We do need to be more wary of dependence in data which typically inflates significance to levels much greater than the actual population level. (For example, you might think something is significant at the 5% level but because of the dependence in the data it is actually significant at the 25% level in the population which means its insignificant.)
Differences in differences is a classic approach to arguably achieve causality.
Classic work on the minimum wage and differences-in-differences application. Card Krueger (AER 1994).pdf
Impacts of traffic congestion and the accompanying pollution and infant health with a differences-in-differences application. Currie Walker (AEJ AE 2011).pdf
Competition among schools and measurement of benefits an instrumental variable application this is a simultaneity topic. Hoxby (AER 2000).pdf
Should I read this paper? Deaton Muellbauer (AER 1980).pdf No, it is not required. But the author is one of your 2015 Nobel Prize winners in economic sciences. And its an econometric application on consumer demand. New stuff for 1980, in which it was published. Standard approach today. Good economics, good econometrics, standard tools used today and nothing you cannot understand. This is modern econometrics.
I just cant resist, Sala-I-Martin (AER 1997).pdf.